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Senior Manager, Group Market Risk Management

Affin Bank Kuala Lumpur, Malaysia
Posted 2 months ago Permanent Competitive
Senior Manager, Group Market Risk Management
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Position Objective
  • Ensure that there is an effective and efficient management of the bank's market risk across the Group.
  • Support the Head of Group Market Risk in overseeing and managing department's treasury risk control and market risk functions.
  • Provide a comprehensive market risk analysis and assessment that can assist in decision making and controls setup.

Key Responsibilities
  • To generate trading and investment risk reports timely and accurately.
  • To perform daily analysis of market risk exposures and sensitivities, as well as limit monitoring for all treasury products (i.e., fixed income securities, FX, interest rate and FX derivatives).
  • To generate VaR, stress testing and backtesting reports, including ICAAP and regulatory stress test.
  • To prepare monthly reports, ALCO report, market risk capital charge report and management executive summary for trading and investment book.
  • To work with front office traders/dealers, business management support, IT, Group Finance and Back Office on issues related to market risk.
  • To assist in developing and enhancing market risk monitoring tools and reports.
  • To participate in projects, process change, treasury system UAT and new product testing.
  • To assist in timely review of market risk limits, policies, guidelines and risk governance process to ensure adherence to market risk framework

Skills/Knowledge
  • Degree with major in Risk Management, Financial Engineering, Quantitative Finance/ Economics, Actuarial, Statistics, Engineering or related discipline.
  • Ideally someone with 4-6 years of experience within market risk or trading risk management.
  • Knowledge of treasury product pricing, market risk methodology and trading risk attribution.
  • Strong quantitative skills, IT savvy with good technical/ analytic mindset, possession of good communication and problem-solving skills.
  • Self-starter, ability to work independently and a dynamic team player. Ability to multi-task and work well under pressure with commitment to deliver
  • Excellent oral and written communication skills in English with strong presentation skills.
Job ID  JR100071
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